Back

Indicators in Universe Selection Unexpected Behavior

I'm trying to get familiar with universe selection and am using the EMA Cross Universe Selection algorithm as a starting point.  As part of it's selection it says to wait until a composite indicator that includes a 300 day EMA is ready.

The starting date for the backtest I'm running is Jan 1, 2010.  So I wouldn't expect any trades to occur until mid-March 2011, roughly 300 trading days from the start of the backtest. Instead the first trade occurs in mid-November 2010, 300 calendar days plus a few weeks from the start of the backtest.

My question is how are indicator periods treated when used in universe selection?  It seems as if it is using calendar days as opposed to trading days as it would if I just did something like this:

AddEquity(spy.ID.Symbol, Resolution.Daily);
spyEma = EMA(spy, 60);

 

Update Backtest








Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Loading...

This discussion is closed